Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0290
Annualized Std Dev 0.2815
Annualized Sharpe (Rf=0%) 0.1030

Row

Daily Return Statistics

Close
Observations 4814.0000
NAs 1.0000
Minimum -0.1795
Quartile 1 -0.0079
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0092
Maximum 0.1648
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0177
Skewness -0.4096
Kurtosis 11.3281

Downside Risk

Close
Semi Deviation 0.0130
Gain Deviation 0.0121
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0174
Downside Deviation (Rf=0%) 0.0129
Downside Deviation (0%) 0.0129
Maximum Drawdown 0.7346
Historical VaR (95%) -0.0262
Historical ES (95%) -0.0424
Modified VaR (95%) -0.0268
Modified ES (95%) -0.0488
From Trough To Depth Length To Trough Recovery
2008-05-21 2020-03-18 NA -0.7346 3231 2977 NA
2002-04-03 2002-10-09 2003-12-24 -0.3183 427 122 305
2006-05-11 2006-06-13 2007-04-05 -0.1806 227 23 204
2008-01-04 2008-01-23 2008-04-16 -0.1615 71 13 58
2005-09-30 2005-10-20 2006-01-04 -0.1470 66 15 51

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA NA NA NA 0.2 0.3 -0.8 -0.3
2002 -0.6 0.7 -0.4 0.9 1 0.6 -2.3 0.7 4.5 2.1 0.4 0.5 8.5
2003 1 0.7 1.7 -0.1 1.1 -0.7 -0.3 0.3 1.2 1.2 1.3 -0.5 7.3
2004 -0.1 2 -0.6 0.2 1.1 -0.3 0.5 1.4 1.2 -0.6 -1.5 0.2 3.6
2005 1.4 -1.5 1.9 0.5 1.6 1.8 1.1 2.1 -1.1 0.3 2.7 0.4 11.8
2006 -1.4 1.8 -1.4 1.3 0.2 0.4 0.3 1.2 0.2 -0.8 0.4 -0.6 1.6
2007 0.9 -0.4 -1.1 0.2 1.1 0.3 -0.8 1.4 1.3 -2.2 0 -1.2 -0.6
2008 1.8 -3 1.3 -1.7 1.1 0.6 -0.3 -1 -2.4 0.5 -10.6 1.4 -12.2
2009 -2 -1.4 2.5 3.5 3.2 0.2 1.4 -2.1 -3.6 -4.2 1.8 -0.6 -1.6
2010 4 1.3 2.3 -1.1 -3.9 -0.8 0.2 3.2 1.4 0.4 2.9 0.2 10.3
2011 1.6 -1.3 0.2 1.5 -2.6 0.8 0 -0.7 -2.6 -3.1 -0.5 0.4 -6.4
2012 0.6 1.2 0.8 1.1 -1.6 3.4 0.2 1.5 0.5 0.6 -0.1 2.6 11.3
2013 1.1 -0.5 -0.6 -1.7 -2 0.9 1.5 -0.3 0.7 -0.6 0 1 -0.6
2014 -0.8 0.5 0.5 -0.4 0 0.1 -0.8 0.7 -1.9 1.7 0.1 -0.7 -1
2015 1.2 -0.4 0.5 0.3 -0.4 -1.2 -1.7 -3.5 0.1 0.5 0.9 0.5 -3.3
2016 -1.7 1.7 -1.4 0.5 0.2 1.1 -2.8 0.2 1 0 0.1 -0.6 -1.8
2017 -0.4 1.7 0.3 -0.4 0.8 0.3 -0.2 1.1 -0.1 1.1 0.9 -0.2 5
2018 0.5 -0.2 2.3 -0.3 0.4 1.1 -1.2 -0.7 1.5 1.5 -0.5 0.7 5.2
2019 0.8 1.3 1.3 -2 -0.8 -0.1 -1.7 0 -2 2.1 -0.7 0.6 -1.4
2020 -2.3 0 -3.5 -3.6 1.9 -1.8 0.1 0 -1.7 0.7 1 -0.9 -9.8
2021 1.3 2.3 0.1 NA NA NA NA NA NA NA NA NA 3.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-10-26  16.2 SPY    110. -0.0023   0.0277   0.0787  -0.0635   -0.212       NA       NA <NA>     NA    NA       NA
2 2001-10-29  16.2 SPY    107. -0.026   -0.0185   0.0288  -0.0978   -0.235       NA       NA <NA>     NA    NA       NA
3 2001-11-14  15.6 SPY    115.  0.001    0.0215   0.0425  -0.0388   -0.184       NA       NA <NA>     NA    NA       NA
4 2001-11-15  14.9 SPY    115.  0.0018   0.0202   0.0671  -0.0373   -0.180       NA       NA <NA>     NA    NA       NA
5 2001-11-16  14.8 SPY    114. -0.0044   0.0145   0.0646  -0.0412   -0.163       NA       NA <NA>     NA    NA       NA
6 2001-11-19  15.0 SPY    116.  0.0123   0.0334   0.0784  -0.0209   -0.146       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart